**Partial Differential Equations for Finance**

by Robert V. Kohn

**Publisher**: New York University 2003**Number of pages**: 121

**Description**:

An introduction to those aspects of partial differential equations and optimal control most relevant to finance. PDE’s naturally associated to diffusion processes: the forward and backward Kolmogorov equations and their applications. Linear parabolic equations: fundamental solution, boundary value problems, maximum principle, transform methods. Dynamic programming and optimal control: Hamilton-Jacobi-Bellman equation, verification arguments, optimal stopping. Applications to finance will be distributed throughout the course.

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